
import pandas as pd
import numpy as np
from itertools import product

from tqdm import tqdm 

import matplotlib.pyplot as plt
import seaborn as sns

from arch import arch_model

from utils import *

import warnings
warnings.filterwarnings('ignore')

%matplotlib inline


data = pd.read_csv('vodafone_data.csv')


data.head()


def dataset_preprocess(df):
    df['Date'] = pd.to_datetime(df['Date'])
    df['Date_index'] = pd.DatetimeIndex(df['Date']) 
    
    data_no_missing = df.copy(deep=True)

    data_no_missing = data_no_missing.set_index('Date_index').asfreq('D')

    for col in ['Open', 'High', 'Low', 'Close', 'Volume']:
        data_no_missing[col] = data_no_missing[col].interpolate()

    data_no_missing = data_no_missing.reset_index(drop=False)

    data_no_missing['Date'] = pd.to_datetime(data_no_missing['Date_index']).dt.date
    data_no_missing['year'] = pd.to_datetime(data_no_missing['Date']).dt.year
    data_no_missing['quarter'] = pd.to_datetime(data_no_missing['Date']).dt.quarter
    data_no_missing['month'] = pd.to_datetime(data_no_missing['Date']).dt.month
    
    return df, data_no_missing


df, data_no_missing = dataset_preprocess(data)


stationarity_test(data_no_missing.Close, smt.adfuller)

{'adfuller_statistics': -1.2810249204236712,
 'adfuller_p_value': 0.6378081111339106,
 'adfuller_critical_values': {'1%': -3.4339382310452033,
  '5%': -2.863125003847544,
  '10%': -2.56761380228936}}


stationarity_test(data_no_missing.Close, smt.kpss)

{'kpss_statistics': 5.98948825089506,
 'kpss_p_value': 0.01,
 'kpss_critical_values': {'10%': 0.347,
  '5%': 0.463,
  '2.5%': 0.574,
  '1%': 0.739}}


data_no_missing = data_no_missing.reset_index(drop=False)


data_no_missing.head(2)


ORDERS_RANGE = range(1, 20)


N_SPLITS = 7


INDEX = pd.MultiIndex.from_product((ORDERS_RANGE, ORDERS_RANGE, list(range(N_SPLITS))))


df_stationary, data_diffed, data_logged = to_stationary(data_no_missing)


plot_pacf_acf(np.power(df_stationary, 2), figsize = (15,10), lags=30)
plt.show();


def get_observed_metrics(df, predictions, arch, metrics_list=METRICS, titles_list=METRICS_TITLES):
    
    metrics_df = pd.DataFrame()
    
    for metric, title in zip(metrics_list, titles_list):
        calculated_metric = metric(df, predictions)
        metrics_df.loc[0, title] = calculated_metric
    
    metrics_df['AIC'] = aic(df.shape[0], mean_squared_error(df, predictions),
                                         arch.num_params
                                        )

    metrics_df['BIC'] = bic(df.shape[0], mean_squared_error(df, predictions),
                                         arch.num_params
                                        )
    
    return metrics_df


def make_cross_validation(df, target_column='Close', n_splits=5, test_size=30, p=1, q=1, vol='ARCH',
                          lags=12, folds_plots_size=(10, 30), stat_plot_size=(10, 8), plot=False
                          ):
    ts = df[target_column]

    folds_indexes = list(TimeSeriesSplit(n_splits=n_splits, test_size=test_size).split(ts))
    min_fold_len = min([len(fold[0]) for fold in folds_indexes])

    for i in range(len(folds_indexes)):
        folds_indexes[i] = (folds_indexes[i][0][-min_fold_len:], folds_indexes[i][1])

    if plot:
        plot_data_by_fold(df, folds_indexes, folds_plots_size)

    all_metrics_df_test_arch = pd.DataFrame()

    for fold_index, fold in enumerate(folds_indexes):
        train_indexes = fold[0]
        test_indexes = fold[1]

        train_df_tmp = df.loc[train_indexes, :]
        test_df_tmp = df.loc[test_indexes, :]
        
        df_stationary, data_diffed, data_logged = to_stationary(train_df_tmp)
        df_stationary_test, data_diffed_test, data_logged_test = to_stationary(test_df_tmp)
        
        try:
            arch = arch_model(np.power(df_stationary, 2), mean='Zero', vol=vol, p=p, q=q)
            arch_fitted = arch.fit()

            preds = pd.Series(arch_fitted.forecast(horizon=df_stationary_test.shape[0]).variance.values[-1], copy=True)
            y_true = pd.Series(np.array([np.power(df_stationary_test, 2).std() ** 2] * df_stationary_test.shape[0]))
        
            metrics_df_test_arch = get_observed_metrics(y_true, preds, arch_fitted)
        except ValueError:
            metrics_df_test_arch = pd.DataFrame()
        
        if not metrics_df_test_arch.empty:
            metrics_df_test_arch.index = pd.Series(str((p, q, vol, fold_index)))

        all_metrics_df_test_arch = pd.concat((all_metrics_df_test_arch, metrics_df_test_arch), axis=0)

    return all_metrics_df_test_arch


def get_cross_val_results(data, n_splits, test_size, lags, orders_range=ORDERS_RANGE, 
                          models_list=['ARCH', 'GARCH', 'EGARCH', 'FIARCH'],
                          plot=False):
    
    all_metrics_df_test = pd.DataFrame()
    
    for vol in ['ARCH', 'GARCH', 'EGARCH', 'FIARCH']:
        for p, q in product(ORDERS_RANGE, ORDERS_RANGE):
            test_metrics_df_arch = make_cross_validation(data, p=p, q=q, vol=vol)
            all_metrics_df_test = pd.concat((all_metrics_df_test, test_metrics_df_arch))
    
    return all_metrics_df_test


all_metrics_df_test_arch_models = get_cross_val_results(data_no_missing, N_SPLITS, 100, 30)

Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -7178.91301690086
Iteration:      2,   Func. Count:      9,   Neg. LLF: -8873.305738864805
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8873.305737758796
            Iterations: 6
            Function evaluations: 9
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8875.573460294092
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8875.573459051164
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8870.367426866673
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8870.367425659511
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8865.695747883714
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8865.69574670866
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      3,   Neg. LLF: -8866.475904304489
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8866.47590312814
            Iterations: 5
            Function evaluations: 3
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8890.805884726919
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8890.805885523368
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8894.279484743125
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8894.27948551339
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7178.654395816526
Iteration:      2,   Func. Count:     12,   Neg. LLF: 273753932.1825301
Iteration:      3,   Func. Count:     16,   Neg. LLF: -8897.10793772167
Inequality constraints incompatible    (Exit mode 4)
            Current function value: -8897.107938397528
            Iterations: 4
            Function evaluations: 16
            Gradient evaluations: 3
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7176.99803451129
Iteration:      2,   Func. Count:     11,   Neg. LLF: -8886.735335484253
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.73533625405
            Iterations: 6
            Function evaluations: 11
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8886.5101803021
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.510181089583
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8890.805884726919
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8890.805885523368
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8894.279484743125
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8894.27948551339
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7178.654395816526
Iteration:      2,   Func. Count:     12,   Neg. LLF: 273753932.1825301
Iteration:      3,   Func. Count:     16,   Neg. LLF: -8897.10793772167
Inequality constraints incompatible    (Exit mode 4)
            Current function value: -8897.107938397528
            Iterations: 4
            Function evaluations: 16
            Gradient evaluations: 3

/home/yaroslav/.local/lib/python3.9/site-packages/arch/univariate/base.py:750: ConvergenceWarning: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

  warnings.warn(
/home/yaroslav/.local/lib/python3.9/site-packages/arch/univariate/base.py:750: ConvergenceWarning: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

  warnings.warn(

Iteration:      1,   Func. Count:      5,   Neg. LLF: -7176.99803451129
Iteration:      2,   Func. Count:     11,   Neg. LLF: -8886.735335484253
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.73533625405
            Iterations: 6
            Function evaluations: 11
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8886.5101803021
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.510181089583
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8890.805884726919
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8890.805885523368
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8894.279484743125
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8894.27948551339
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7178.654395816526
Iteration:      2,   Func. Count:     12,   Neg. LLF: 273753932.1825301
Iteration:      3,   Func. Count:     16,   Neg. LLF: -8897.10793772167
Inequality constraints incompatible    (Exit mode 4)
            Current function value: -8897.107938397528
            Iterations: 4
            Function evaluations: 16
            Gradient evaluations: 3
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7176.99803451129
Iteration:      2,   Func. Count:     11,   Neg. LLF: -8886.735335484253
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.73533625405
            Iterations: 6
            Function evaluations: 11
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8886.5101803021
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.510181089583
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8890.805884726919
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8890.805885523368
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8894.279484743125
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8894.27948551339
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1

/home/yaroslav/.local/lib/python3.9/site-packages/arch/univariate/base.py:750: ConvergenceWarning: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

  warnings.warn(
/home/yaroslav/.local/lib/python3.9/site-packages/arch/univariate/base.py:750: ConvergenceWarning: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

  warnings.warn(

Iteration:      1,   Func. Count:      5,   Neg. LLF: -7178.654395816526
Iteration:      2,   Func. Count:     12,   Neg. LLF: 273753932.1825301
Iteration:      3,   Func. Count:     16,   Neg. LLF: -8897.10793772167
Inequality constraints incompatible    (Exit mode 4)
            Current function value: -8897.107938397528
            Iterations: 4
            Function evaluations: 16
            Gradient evaluations: 3
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7176.99803451129
Iteration:      2,   Func. Count:     11,   Neg. LLF: -8886.735335484253
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.73533625405
            Iterations: 6
            Function evaluations: 11
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8886.5101803021
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.510181089583
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8890.805884726919
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8890.805885523368
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8894.279484743125
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8894.27948551339
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7178.654395816526
Iteration:      2,   Func. Count:     12,   Neg. LLF: 273753932.1825301
Iteration:      3,   Func. Count:     16,   Neg. LLF: -8897.10793772167
Inequality constraints incompatible    (Exit mode 4)
            Current function value: -8897.107938397528
            Iterations: 4
            Function evaluations: 16
            Gradient evaluations: 3
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7176.99803451129
Iteration:      2,   Func. Count:     11,   Neg. LLF: -8886.735335484253
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.73533625405
            Iterations: 6
            Function evaluations: 11
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8886.5101803021
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.510181089583
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8890.805884726919
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8890.805885523368
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8894.279484743125
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8894.27948551339
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1

/home/yaroslav/.local/lib/python3.9/site-packages/arch/univariate/base.py:750: ConvergenceWarning: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

  warnings.warn(
/home/yaroslav/.local/lib/python3.9/site-packages/arch/univariate/base.py:750: ConvergenceWarning: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

  warnings.warn(

Iteration:      1,   Func. Count:      5,   Neg. LLF: -7178.654395816526
Iteration:      2,   Func. Count:     12,   Neg. LLF: 273753932.1825301
Iteration:      3,   Func. Count:     16,   Neg. LLF: -8897.10793772167
Inequality constraints incompatible    (Exit mode 4)
            Current function value: -8897.107938397528
            Iterations: 4
            Function evaluations: 16
            Gradient evaluations: 3
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7176.99803451129
Iteration:      2,   Func. Count:     11,   Neg. LLF: -8886.735335484253
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.73533625405
            Iterations: 6
            Function evaluations: 11
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8886.5101803021
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.510181089583
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8890.805884726919
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8890.805885523368
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8894.279484743125
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8894.27948551339
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7178.654395816526
Iteration:      2,   Func. Count:     12,   Neg. LLF: 273753932.1825301
Iteration:      3,   Func. Count:     16,   Neg. LLF: -8897.10793772167
Inequality constraints incompatible    (Exit mode 4)
            Current function value: -8897.107938397528
            Iterations: 4
            Function evaluations: 16
            Gradient evaluations: 3
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7176.99803451129
Iteration:      2,   Func. Count:     11,   Neg. LLF: -8886.735335484253
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.73533625405
            Iterations: 6
            Function evaluations: 11
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8886.5101803021
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.510181089583
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8890.805884726919
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8890.805885523368
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1

/home/yaroslav/.local/lib/python3.9/site-packages/arch/univariate/base.py:750: ConvergenceWarning: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

  warnings.warn(
/home/yaroslav/.local/lib/python3.9/site-packages/arch/univariate/base.py:750: ConvergenceWarning: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

  warnings.warn(

Iteration:      1,   Func. Count:      4,   Neg. LLF: -8894.279484743125
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8894.27948551339
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7178.654395816526
Iteration:      2,   Func. Count:     12,   Neg. LLF: 273753932.1825301
Iteration:      3,   Func. Count:     16,   Neg. LLF: -8897.10793772167
Inequality constraints incompatible    (Exit mode 4)
            Current function value: -8897.107938397528
            Iterations: 4
            Function evaluations: 16
            Gradient evaluations: 3
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7176.99803451129
Iteration:      2,   Func. Count:     11,   Neg. LLF: -8886.735335484253
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.73533625405
            Iterations: 6
            Function evaluations: 11
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8886.5101803021
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.510181089583
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8890.805884726919
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8890.805885523368
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8894.279484743125
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8894.27948551339
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7178.654395816526
Iteration:      2,   Func. Count:     12,   Neg. LLF: 273753932.1825301
Iteration:      3,   Func. Count:     16,   Neg. LLF: -8897.10793772167
Inequality constraints incompatible    (Exit mode 4)
            Current function value: -8897.107938397528
            Iterations: 4
            Function evaluations: 16
            Gradient evaluations: 3
Iteration:      1,   Func. Count:      5,   Neg. LLF: -7176.99803451129
Iteration:      2,   Func. Count:     11,   Neg. LLF: -8886.735335484253
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.73533625405
            Iterations: 6
            Function evaluations: 11
            Gradient evaluations: 2
Iteration:      1,   Func. Count:      4,   Neg. LLF: -8886.5101803021
Optimization terminated successfully    (Exit mode 0)
            Current function value: -8886.510181089583
            Iterations: 5
            Function evaluations: 4
            Gradient evaluations: 1

/home/yaroslav/.local/lib/python3.9/site-packages/arch/univariate/base.py:750: ConvergenceWarning: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

  warnings.warn(
/home/yaroslav/.local/lib/python3.9/site-packages/arch/univariate/base.py:750: ConvergenceWarning: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

  warnings.warn(


all_metrics_df_test_arch_models


idx = all_metrics_df_test_arch_models.index.tolist()
idx = [tuple(el.replace('(', '').replace(')', '').split(', ')) for el in idx]
idx = pd.MultiIndex.from_tuples(idx, names=['P', 'Q', 'Vol', 'Fold'])

all_metrics_df_test_arch_models.index = idx


all_metrics_df_test_arch_models.head()


all_metrics_df_test_arch_models.to_csv('all_metrics_df_test_arch_models.csv', index=True)


fig, axs = plt.subplots(nrows=all_metrics_df_test_arch_models.shape[1], ncols=1, figsize=(15, 50))

for idx, metric_title in enumerate(all_metrics_df_test_arch_models.columns):
    all_metrics_df_test_arch_models.reset_index().groupby(['P', 'Q', 'Vol'])[metric_title].mean().plot(
        title='{} distribution through order of Heteroscedastic models'.format(metric_title), ax=axs[idx]);


all_metrics_df_test_arch_models.shape

(3610, 8)


all_metrics_df_test_arch_models.head(3)


all_metrics_df_test_arch_models_resampled = all_metrics_df_test_arch_models.reset_index().groupby(
    ['P', 'Q', 'Vol']).mean()


all_metrics_df_test_arch_models_resampled


all_metrics_df_test_arch_models_resampled.to_csv('all_metrics_df_test_arch_models_resampled.csv', index=False)


all_metrics_df_test_arch_models_resampled.RMSE.idxmin(), all_metrics_df_test_arch_models_resampled.RSS.idxmin()

(('17', '6', "'GARCH'"), ('17', '6', "'GARCH'"))


all_metrics_df_test_arch_models_resampled.MSE.idxmin(), all_metrics_df_test_arch_models_resampled.MAE.idxmin()

(('17', '6', "'GARCH'"), ('17', '6', "'GARCH'"))


all_metrics_df_test_arch_models_resampled.MAPE.idxmin()

('17', '6', "'GARCH'")

	Date	Open	High	Low	Close	Volume
0	2016-02-11	29.330000	29.510000	29.030001	29.270000	4805000
1	2016-02-12	29.520000	29.950001	29.410000	29.900000	3116500
2	2016-02-16	29.950001	30.420000	29.900000	30.260000	4037900
3	2016-02-17	31.000000	31.320000	30.900000	31.090000	4313800
4	2016-02-18	31.090000	31.150000	30.920000	30.959999	3522800

	index	Date_index	Date	Open	High	Low	Close	Volume	year	quarter	month
0	0	2016-02-11	2016-02-11	29.33	29.510000	29.030001	29.27	4805000.0	2016	1	2
1	1	2016-02-12	2016-02-12	29.52	29.950001	29.410000	29.90	3116500.0	2016	1	2

	RMSE	RSS	MSE	MAE	MAPE	R2	AIC	BIC
(1, 1, 'ARCH', 0)	2.673229e-06	2.000923e-10	7.146153e-12	2.652816e-06	60.834581	-1.631893e+35	-714.604514	-711.940105
(1, 1, 'ARCH', 1)	2.027489e-06	1.150999e-10	4.110712e-12	2.004043e-06	3.860728	0.000000e+00	-730.087893	-727.423484
(1, 1, 'ARCH', 2)	2.710860e-06	2.057653e-10	7.348761e-12	2.645667e-06	12.260109	-2.622126e+33	-713.821703	-711.157294
(1, 1, 'ARCH', 3)	2.455540e-06	1.688309e-10	6.029676e-12	2.436159e-06	26.947473	-3.442337e+34	-719.361179	-716.696770
(1, 1, 'ARCH', 4)	1.243498e-06	4.329605e-11	1.546288e-12	1.213972e-06	0.918714	-8.620841e+30	-757.464598	-754.800189
...	...	...	...	...	...	...	...	...
(19, 19, 'GARCH', 0)	2.602354e-06	1.896230e-10	6.772249e-12	2.602180e-06	59.673399	-1.546508e+35	-642.109262	-590.153286
(19, 19, 'GARCH', 1)	9.648900e-07	2.606836e-11	9.310127e-13	9.646195e-07	1.858310	0.000000e+00	-697.670097	-645.714121
(19, 19, 'GARCH', 2)	9.997408e-07	2.798548e-11	9.994816e-13	9.987014e-07	4.628016	-3.566269e+32	-695.683111	-643.727135
(19, 19, 'GARCH', 3)	8.276064e-07	1.917811e-11	6.849324e-13	8.270774e-07	9.148684	-3.910273e+33	-706.264777	-654.308801
(19, 19, 'GARCH', 4)	3.025947e-07	2.563779e-12	9.156354e-14	2.545386e-07	0.192631	-5.104838e+29	-762.608811	-710.652835

				RMSE	RSS	MSE	MAE	MAPE	R2	AIC	BIC
P	Q	Vol	Fold
1	1	'ARCH'	0	0.000003	2.000923e-10	7.146153e-12	0.000003	60.834581	-1.631893e+35	-714.604514	-711.940105
			1	0.000002	1.150999e-10	4.110712e-12	0.000002	3.860728	0.000000e+00	-730.087893	-727.423484
			2	0.000003	2.057653e-10	7.348761e-12	0.000003	12.260109	-2.622126e+33	-713.821703	-711.157294
			3	0.000002	1.688309e-10	6.029676e-12	0.000002	26.947473	-3.442337e+34	-719.361179	-716.696770
			4	0.000001	4.329605e-11	1.546288e-12	0.000001	0.918714	-8.620841e+30	-757.464598	-754.800189

				RMSE	RSS	MSE	MAE	MAPE	R2	AIC	BIC
P	Q	Vol	Fold
1	1	'ARCH'	0	0.000003	2.000923e-10	7.146153e-12	0.000003	60.834581	-1.631893e+35	-714.604514	-711.940105
			1	0.000002	1.150999e-10	4.110712e-12	0.000002	3.860728	0.000000e+00	-730.087893	-727.423484
			2	0.000003	2.057653e-10	7.348761e-12	0.000003	12.260109	-2.622126e+33	-713.821703	-711.157294

Підготовка даних¶

Перевірка на стаціонарність¶

Тест Дікі-Фулера¶

KPSS тест¶

Бачимо, що вихідний часовий ряд не є стаціонарним¶

Побудова моделей за допомогою крос-валідації для різних наборів порядків¶

Розподіл метрик по порядкам моделей¶

Тестувальні вибірки¶

Метрики у вигляді таблиць¶

усереднюємо метрики по фолдам для кожного набору порядків моделі¶

			RMSE	RSS	MSE	MAE	MAPE	R2	AIC	BIC
P	Q	Vol
1	1	'ARCH'	2.222123e-06	1.466169e-10	5.236318e-12	2.190531e-06	20.964321	-4.004868e+34	-727.067977	-724.403568
	1	'GARCH'	1.143724e-06	4.708547e-11	1.681624e-12	1.100766e-06	10.934508	-1.039501e+34	-768.894205	-764.897591
	10	'ARCH'	2.222123e-06	1.466169e-10	5.236318e-12	2.190531e-06	20.964321	-4.004868e+34	-727.067977	-724.403568
	10	'GARCH'	7.191245e-07	1.715512e-11	6.126830e-13	7.089243e-07	7.440771	-5.803595e+33	-777.994493	-762.008039
	11	'ARCH'	2.222123e-06	1.466169e-10	5.236318e-12	2.190531e-06	20.964321	-4.004868e+34	-727.067977	-724.403568
...	...	...	...	...	...	...	...	...	...	...
9	7	'GARCH'	6.523693e-07	1.430247e-11	5.108026e-13	6.292300e-07	6.404836	-4.020535e+33	-778.095121	-755.447645
	8	'ARCH'	6.279955e-06	3.405348e-09	1.216196e-10	4.668846e-06	48.217447	-6.897196e+35	-701.265844	-687.943799
	8	'GARCH'	8.917484e-07	3.393237e-11	1.211870e-12	8.630009e-07	11.336663	-2.001108e+34	-766.897098	-742.917417
	9	'ARCH'	6.279955e-06	3.405348e-09	1.216196e-10	4.668846e-06	48.217447	-6.897196e+35	-701.265844	-687.943799
	9	'GARCH'	6.525701e-07	1.441655e-11	5.148766e-13	6.439208e-07	6.743717	-4.733564e+33	-774.226601	-748.914716